All Intraday

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 13 3.2 61 5 22 (19) (77) (1) 90
60 13 2.1 59 5 29 (28) (121) (2) 93
120 22 4.2 58 9 30 (18) (121) (2) 88
250 30 4.5 59 13 37 (22) (144) (2) 92
500 45 5.2 63 19 47 (28) (188) (4) 92
760 45 5.2 64 19 46 (28) (198) (4) 92
1260 38 4.7 63 16 42 (28) (338) (4) 93
2520 48 4.4 64 20 52 (34) (371) (9) 92
All 29 3.8 58 15 43 (25) (371) (9) 77

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 3.2 4.5 3.4 4 2 5.7 2.6 2.5 4.9 3.1 2.8 2.4 41 4.6 63.9 249.4 (2.3) (4.3) 3.3 1
2017 4.8 3 0.7 (0.5) 1.1 0 0 0 0 0 0 0 9.1 4.2 58.8 90 (1.2) (2) 2.8 1
2016 5.4 7.2 7.6 3.5 2.4 5.8 3.1 0.9 6.2 1.3 3.2 0.3 46.9 5.4 64.3 249 (1.9) (2) 3.3 1
2015 2.7 5.4 3.7 7.4 3.9 2.7 4 4.5 3.4 5.4 7.5 5.7 56.3 5.8 66.1 246 (1.5) (3.8) 3.2 1
2014 1.5 6 (2) 2.3 3 3.7 (0.3) 3.9 4.2 6 2.1 5.2 35.6 4.2 63.2 250 (2) (3.6) 3.8 1
2013 2.8 0.6 0.8 3.8 2.5 8.1 4.8 0.4 5.3 5.5 (0.2) 1.7 36.1 4.5 65.7 251 (3.4) (3.4) 3.2 1
2012 3.6 3.1 6.8 2.8 (2) 8.4 1.3 3 5.5 (2.8) 1.3 (0.8) 30.2 3.2 60 251 (2.7) (8.7) 3.1 1
2011 2.3 1.1 5.3 1.1 3.5 (0.6) (2) 15.8 0.5 18.2 10 (0.2) 55 4.4 63.3 250 (2.3) (4.6) 3.2 1.2
2010 4.3 2.4 1.7 5 (1.1) 6.8 4 6.8 2 6 5 2.5 45.4 4.6 66.1 247 (3.7) (4.1) 3.5 1
2009 13.9 2.1 11.4 10.7 8.3 7.3 1.6 5.2 1.8 4.9 1.6 1.2 70 5.3 64.5 242 (3.7) (4.2) 3.2 1.1
2008 (3.7) 4 3.6 6.5 0.7 0.6 2.5 2.2 11.7 26.4 15.2 16.1 85.8 4.5 59.7 230 (2.5) (5.2) 3.2 1.1
2007 3 1.3 (1.9) 1.5 1.6 1 0.5 6.5 2.8 3.6 7.2 (2.3) 24.8 3.7 65 226 (2.3) (4.1) 3.6 1.1
2006 2.4 2.5 1.4 1.8 (0.4) 3.9 0.4 (0.5) 1.5 1.2 1.4 1.4 17 3.6 58.1 214 (1) (3.3) 3 1
2005 (1.8) 0.4 (0.3) 0.5 0.5 0.6 0.2 0.6 (0.4) (0.3) 0.1 0.2 0.3 0.1 47.3 186 (1.3) (2.1) 1.4 0.7
2004 1 0 (0.1) (1.7) 0 (0.4) 0.6 0 0.7 1.5 0.8 0.9 3.3 1.4 46.6 173 (0.8) (3.6) 1.8 0.7
2003 0.7 (0.5) 1.5 1.3 0.2 (0.4) 0.9 0.5 1.6 1.5 0.9 0.2 8.4 3.1 51 163 (0.9) (1.3) 1.8 0.6
2002 0.2 (0.2) 0.8 (0.2) 0.4 0.3 (0.1) 1.3 (0.1) 0.8 1 (0.2) 4 3.2 40.4 109 (0.4) (0.8) 0.6 0.4
2001 1.1 (0.4) (0.2) 0.6 0.8 0 (0.2) (0.6) (0.9) 0 0.4 0 0.6 0.5 29.4 105 (0.8) (2.3) 0.4 0.4
2000 (0.6) 0 (0.2) 0.1 0.2 0 (0.1) 0 (0.4) (0.2) (0.4) 0.2 (1.4) (1.7) 28.3 93 (0.5) (1.5) 0.4 0.4